Citation profile for Nicolas Privault

Nicolas Privault : Citation Profile

H index

i10 index

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 2
   Journals where Nicolas Privault has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 4 (6.15 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr35
   Updated: 2024-04-18    RAS profile: 2024-04-07
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Nicolas Privault.

Is cited by:

Aase, Knut (5)

Loisel, Stéphane (3)

Hatemi-J, Abdulnasser (2)

Ramponi, Alessandro (2)

Tebaldi, Claudio (2)

Meng, Bo (2)

El-Khatib, Youssef (2)

Borel-Mathurin, Fabrice (1)

Lütkebohmert, Eva (1)

Chen, Wei (1)

Rulliere, Didier (1)

Cites to:

Müller, Alfred (5)

Loisel, Stéphane (4)

Strulovici, Bruno (3)

Rulliere, Didier (3)

Meyer, Margaret (3)

Scarsini, Marco (2)

Hamilton, James (2)

Benhamou, Eric (2)

Leduc, Guillaume (1)

Jacquier, Antoine (1)

El-Khatib, Youssef (1)

Main data

Where Nicolas Privault has published?

Journals with more than one article published	# docs
Statistics & Probability Letters	6
Methodology and Computing in Applied Probability	3
Finance and Stochastics	2
International Journal of Theoretical and Applied Finance (IJTAF)	2
Stochastic Processes and their Applications	2
Journal of Theoretical Probability	2
Quantitative Finance	2

Working Papers Series with more than one paper published	# docs
Papers / arXiv.org	4

Recent works citing Nicolas Privault (2024 and 2023)

Year	Title of citing document
2023	Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2306.09084. Full description at Econpapers \|\| Download paper
2023	How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model. (2023). Meng, Bo ; Chen, Bin ; Jin, Shunlin ; Sun, Huaping ; Liu, Yue. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002566. Full description at Econpapers \|\| Download paper
2023	A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235. Full description at Econpapers \|\| Download paper
2023	An expansion formula for Hawkes processes and application to cyber-insurance derivatives. (2023). Rosenbaum, Mathieu ; Reveillac, Anthony ; Hillairet, Caroline. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:89-119. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Intervene in advance or passively? Analysis and application on congestion control of smart grid. (2023). Zhang, Xiling ; Ding, Xuhui ; Liu, Yue. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-021-04389-2. Full description at Econpapers \|\| Download paper
2023	European and Asian Greeks for Exponential Lévy Processes. (2023). Ruschendorf, Ludger ; Hudde, Anselm. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10014-5. Full description at Econpapers \|\| Download paper

Works by Nicolas Privault:

Year	Title	Type	Cited
2009	SURE shrinkage of Gaussian paths and signal identification In: Papers. [Full Text][Citation analysis]	paper	0
2013	Hedging in bond markets by the Clark-Ocone formula In: Papers. [Full Text][Citation analysis]	paper	0
2023	A q-binomial extension of the CRR asset pricing model In: Papers. [Full Text][Citation analysis]	paper	0
2023	Deep self-consistent learning of local volatility In: Papers. [Full Text][Citation analysis]	paper	0
2018	FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING In: ASTIN Bulletin. [Full Text][Citation analysis]	article	1
2004	A Malliavin calculus approach to sensitivity analysis in insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis]	article	1
2016	Large deviations for Bernstein bridges In: Stochastic Processes and their Applications. [Full Text][Citation analysis]	article	0
2019	Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates In: Stochastic Processes and their Applications. [Full Text][Citation analysis]	article	0
2017	Conditional Stein approximation for Itô and Skorohod integrals In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	0
2021	Recursive computation of the Hawkes cumulants In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	1
1999	Multiple stochastic integral expansions of arbitrary Poisson jump times functionals In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	0
2001	Extended covariance identities and inequalities In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	0
2008	Isoperimetric and related bounds on configuration spaces In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	0
2015	Supermodular ordering of Poisson arrays In: Statistics & Probability Letters. [Full Text][Citation analysis]	article	1
2009	Sensitivity analysis and density estimation for finite-time ruin probabilities In: Post-Print. [Full Text][Citation analysis]	paper	4
2017	Pricing CIR Yield Options by Conditional Moment Matching In: Asia-Pacific Financial Markets. [Full Text][Citation analysis]	article	2
2000	White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance In: Finance and Stochastics. [Full Text][Citation analysis]	article	24
2004	Computations of Greeks in a market with jumps via the Malliavin calculus In: Finance and Stochastics. [Full Text][Citation analysis]	article	13
	In: . [Full Text][Citation analysis]	article	0
	In: . [Full Text][Citation analysis]	article	0
2013	Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis]	article	1
2018	A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis]	article	6
2021	Computation of Coverage Probabilities in a Spherical Germ-Grain Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis]	article	0
	In: . [Full Text][Citation analysis]	article	0
2009	Stein estimation of Poisson process intensities In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis]	article	1
2016	Analytic bond pricing for short rate dynamics evolving on matrix Lie groups In: Quantitative Finance. [Full Text][Citation analysis]	article	3
2009	Numerical computation of Theta in a jump-diffusion model by integration by parts In: Quantitative Finance. [Full Text][Citation analysis]	article	0
2008	BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	0
2017	SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	3